Question: 4 Consider the following. 10 points a. Calculate the leverage-adjusted duration gap of an Fl that has assets of $1.8 million invested in 30-year, 11

4 Consider the following. 10 points a. Calculate the leverage-adjusted duration gap of an Fl that has assets of $1.8 million invested in 30-year, 11 percent semiannual coupon Treasury bonds selling at par and whose duration has been estimated at 10.02 years. It has liabilities of $980,000 financed through a two-year, 9.25 percent semiannual coupon note selling at par. b. What is the impact on equity values if all interest rates fall 20 basis pointsthat is, AR/(1 + R/2) = -0.0020? Skipped (For all requirements, do not round intermediate calculations. Round your answers to 2 decimal places. (e.g., 32.16)) eBook a. years Leveraged adjusted duration gap Change in net worth using leveraged adjusted duration gap b
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